@article {Martin71,
author = {Martin, Ian},
title = {Options and the Gamma Knife},
volume = {25},
number = {4},
pages = {71--79},
year = {2018},
doi = {10.3905/jod.2018.25.4.071},
publisher = {Institutional Investor Journals Umbrella},
abstract = {Steve Ross, a towering figure in modern finance, died last spring. Since then, numerous memorials and special events have taken place, honoring his many achievements in economics and finance. This article takes a fresh look at one of Ross{\textquoteright}s earliest papers on options, in which he showed that they have the ability to {\textquotedblleft}complete{\textquotedblright} an incomplete market. The example in that 1976 paper showed how a set of options with different strikes can subdivide the range for the possible future price of a given stock to create Arrow{\textendash}Debreu securities, each of which pays off on the occurrence of a single future stock price. In this article, the author reviews Ross{\textquoteright}s paper and shows how it leads to the Breeden{\textendash}Litzenberger methodology for extracting the risk-neutral density from options market prices. He then extends Ross{\textquoteright}s one-stock model to the case with multiple risk factors and shows how options written on a single linear combination of their prices can still complete the higher dimensional market.},
issn = {1074-1240},
URL = {https://jod.iijournals.com/content/25/4/71},
eprint = {https://jod.iijournals.com/content/25/4/71.full.pdf},
journal = {The Journal of Derivatives}
}